A MAC address is assigned by the hardware manufacturer. In your case, that's you =] If you were selling them you would need to get a vendor code that was unique to you and then the rightmost three segments (the final :00:00:00) you would set sequentially.
You absolutely always need to have a MAC address since that's what uniquely identifies your ethernet card on a local network; you must never have two cards with the same MAC address on a given local network.
As mentioned above, in all Arduino sketches (and pretty much other microcontroller projects) you will set the MAC address yourself.